Evaluating Density Forecasts with an Application to Stock Market Returns
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More about this item
KeywordsDensity forecasting; Forecast evaluation; Risk management; GARCH-models;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-04-15 (All new papers)
- NEP-ECM-2002-04-22 (Econometrics)
- NEP-ETS-2002-04-15 (Econometric Time Series)
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